Okay, awake and on my second cup of tea.
I read indices in s character data.
So
mydata<- read.csv("data_1.csv", sep="\t", header=TRUE, stringsAsFactors = FALSE)
mydata$date <- dmy(mydata$date)
mydata$indices <- as.factor(mydata$indices)
xl <- ymd("2020-03-02","2020-04-30")
coplot( mydata$return ~ indices|date, type="l", data=mydata, xlim = xl ,ylim = c(-0.16,0.10))
gives a result with no errors or warnings but I have no idea if the output means anything.
BTW, if possible when supplying data the best way is to use dput() output.